发帖
雷达卡
摘要翻译：
我们研究了一类异构的基于Agent的模型，这些模型基于一组基本原理，以及一个经济系统最基本的操作：贸易和产品转换。一个基本的指导原则是尺度不变性，这意味着经济的动态不应该依赖于用来衡量不同产品的单位。我们发展了“近均衡”扩张的思想，这使我们能够研究经济均衡附近波动的动力学。这类似于物理学中许多领域所研究的熟悉的“微扰理论”。我们研究了集中和分散市场的一些简单模型。我们在适当的时候显示到平衡的松弛。更有趣的是，我们研究了一个分散市场的简单模型，该模型显示了一个自发地过渡到货币阶段的过程。我们使用平均场理论分析来提供货币阶段的统计解释。此外，我们还证明了这种相位可能是动态不稳定的。最后，我们研究了一些简单的集中式金融市场，其中一个表现为投机泡沫和崩溃。
---
英文标题：
《Scale Invariance, Bounded Rationality and Non-Equilibrium Economics》
---
作者：
Samuel E. Vazquez
---
最新提交年份：
2009
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--
---
英文摘要：
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance, which means that the dynamics of the economy should not depend on the units used to measure the different products. We develop the idea of a "near-equilibrium" expansion which allow us to study the dynamics of fluctuations around economic equilibrium. This is similar to the familiar "perturbation theory" studied in many areas of physics. We study some simple models of both centralized and decentralized markets. We show the relaxation to equilibrium when appropriate. More interestingly, we study a simple model of a decentralized market that shows a spontaneous transition into a monetary phase. We use mean field theory analysis to provide a statistical interpretation of the monetary phase. Furthermore, we show that such phase can be dynamically unstable. Finally, we study some simple centralized financial markets, one of which shows a speculative bubble and a crash.
---
PDF链接：
https://arxiv.org/pdf/0902.3840
提升卡
置顶卡
沉默卡
变色卡
抢沙发
千斤顶
显身卡
京公网安备 11010802022788号
